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99 lines
3.8 KiB
99 lines
3.8 KiB
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group_neutralize(ts_mean(anl40_turnoverrate, 252), industry)
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group_zscore(ts_mean(anl40_turnoverrate, 252), industry)
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zscore(ts_mean(anl40_turnoverrate, 252))
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rank(ts_mean(anl40_turnoverrate, 252))
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ts_rank(anl40_turnoverrate, 252)
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group_neutralize(ts_backfill(anl40_turnoverrate, lookback=252, k=1), industry)
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group_neutralize(ts_delay(anl40_turnoverrate, 21), industry)
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group_neutralize(ts_delta(anl40_turnoverrate, 21), industry)
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group_neutralize(ts_mean(anl40_turnoverrate, 252) * inverse(fnd17_qroepct), industry)
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group_neutralize(ts_mean(anl40_turnoverrate, 252) * zscore(pv87_price_volatility_estimate_mean), industry)
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if_else(fnd17_qroepct > 0, group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), NaN)
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trade_when(pv87_price_volatility_estimate_mean < ts_mean(pv87_price_volatility_estimate_mean, 252), group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), NaN)
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group_neutralize(ts_mean(anl40_turnoverrate, 252), industry) + zscore(fnd17_qroepct)
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group_neutralize(ts_mean(anl40_turnoverrate, 252), industry) - zscore(pv87_price_volatility_estimate_mean)
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multiply(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), rank(fnd17_qroepct))
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multiply(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), rank(pv87_price_volatility_estimate_mean))
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group_neutralize(ts_mean(anl40_turnoverrate, 252) / ts_mean(fnd17_qroepct, 252), industry)
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group_neutralize(ts_mean(anl40_turnoverrate, 252) * ts_mean(pv87_price_volatility_estimate_mean, 252), industry)
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group_neutralize(log(ts_mean(anl40_turnoverrate, 252)), industry)
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group_neutralize(sqrt(ts_mean(anl40_turnoverrate, 252)), industry)
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group_neutralize(power(ts_mean(anl40_turnoverrate, 252), 2), industry)
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group_neutralize(inverse(ts_mean(anl40_turnoverrate, 252)), industry)
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group_neutralize(ts_mean(anl40_turnoverrate, 252), sector)
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group_neutralize(ts_mean(anl40_turnoverrate, 252), country)
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group_scale(ts_mean(anl40_turnoverrate, 252), industry)
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group_rank(ts_mean(anl40_turnoverrate, 252), industry)
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normalize(ts_mean(anl40_turnoverrate, 252))
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quantile(ts_mean(anl40_turnoverrate, 252), driver=gaussian)
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scale(ts_mean(anl40_turnoverrate, 252))
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winsorize(ts_mean(anl40_turnoverrate, 252), std=4)
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multiply(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), zscore(fnd17_aroepct))
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multiply(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), zscore(pv87_price_volatility_estimate_high))
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multiply(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), zscore(pv87_price_volatility_estimate_median))
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group_neutralize(ts_rank(anl40_turnoverrate, 252), industry)
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group_neutralize(ts_zscore(anl40_turnoverrate, 252), industry)
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group_neutralize(ts_backfill(anl40_turnoverrate, lookback=252, k=1), industry)
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group_neutralize(ts_delay(anl40_turnoverrate, 63), industry)
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group_neutralize(ts_delta(anl40_turnoverrate, 63), industry)
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group_neutralize(ts_mean(anl40_turnoverrate, 126), industry)
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group_neutralize(ts_mean(anl40_turnoverrate, 504), industry)
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group_neutralize(ts_mean(anl40_turnoverrate, 252), industry) + group_neutralize(ts_mean(fnd17_qroepct, 252), industry)
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group_neutralize(ts_mean(anl40_turnoverrate, 252), industry) - group_neutralize(ts_mean(pv87_price_volatility_estimate_mean, 252), industry)
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multiply(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), group_neutralize(ts_mean(fnd17_qroepct, 252), industry))
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divide(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), group_neutralize(ts_mean(pv87_price_volatility_estimate_mean, 252), industry))
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group_neutralize(signed_power(ts_mean(anl40_turnoverrate, 252), 2), industry)
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group_neutralize(hump(ts_mean(anl40_turnoverrate, 252)), industry)
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group_neutralize(ts_decay_linear(ts_mean(anl40_turnoverrate, 252), 252), industry)
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group_neutralize(ts_product(anl40_turnoverrate, 21), industry)
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group_neutralize(ts_av_diff(anl40_turnoverrate, 252), industry) |